Monitoring the cross-covariances of a multivariate time series

Metrika

Volumn 61, Issue 1, 2005, Pages 89-115

  Śliwa, Przemysław ^a   Schmid, Wolfgang ^a  

^a Europe University   (Germany)

Author keywords

Exponential smoothing; Financial application; Multivariate time series; Simultaneous control charts; Statistical process control

Indexed keywords

EID: 14644417221     PISSN: 00261335     EISSN: None     Source Type: Journal    
DOI: 10.1007/s001840400326     Document Type: Article

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